英文标题：
《Panel quantile regressions for estimating and predicting the
  Value--at--Risk of commodities》
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作者：
Franti\\v{s}ek \\v{C}ech and Jozef Barun\\\'ik
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最新提交年份：
2018
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英文摘要：
  This paper investigates how realized and option implied volatilities are related to the future quantiles of commodity returns. Whereas realized volatility measures ex-post uncertainty, volatility implied by option prices reveals the market\'s expectation and is often used as an ex-ante measure of the investor sentiment. Using a flexible panel quantile regression framework, we show how the future conditional quantiles of commodities returns depend on both ex-post and ex-ante uncertainty measures. Empirical analysis of the most liquid commodities covering main sectors including energy, food, agricultural, precious and industrial metals reveal several important stylized facts about the data. We document common patterns of the dependence between future quantile returns and ex-post as well as ex-ante volatilities. We further show that conditional returns distribution is platykurtic and time-invariant. The approach can serve as a useful risk management tools for investors interested in commodity future contracts.
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中文摘要：
本文研究了实现波动率和期权隐含波动率与未来商品收益分位数的关系。虽然已实现的波动率衡量事后的不确定性，但期权价格隐含的波动率揭示了市场的预期，通常被用作投资者情绪的事前衡量。使用一个灵活的面板分位数回归框架，我们展示了商品回报的未来条件分位数如何依赖于事后和事前的不确定性度量。对涵盖能源、食品、农业、贵金属和工业金属等主要部门的最具流动性商品进行的实证分析揭示了有关数据的几个重要类型化事实。我们记录了未来分位数收益率和事后以及事前波动率之间依赖关系的常见模式。我们进一步证明了条件收益率分布是平坦的和时不变的。对于对商品期货合约感兴趣的投资者来说，该方法可以作为一种有用的风险管理工具。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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